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pacf belgie D=1

*The author of this computation has been verified*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 16 Dec 2008 07:10:10 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/16/t1229436652m4599fbytohjd6p.htm/, Retrieved Tue, 16 Dec 2008 15:10:52 +0100

BibTeX entries for LaTeX users:

@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2008/Dec/16/t1229436652m4599fbytohjd6p.htm/},
    year = {2008},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

565464 547344 554788 562325 560854 555332 543599 536662 542722 593530 610763 612613 611324 594167 595454 590865 589379 584428 573100 567456 569028 620735 628884 628232 612117 595404 597141 593408 590072 579799 574205 572775 572942 619567 625809 619916 587625 565742 557274 560576 548854 531673 525919 511038 498662 555362 564591 541657 527070 509846 514258 516922 507561 492622 490243 469357 477580 528379 533590 517945

Output produced by software:

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.93885	6.5045	0
2	0.877719	6.081	0
3	0.818817	5.6729	0
4	0.76273	5.2844	2e-06
5	0.696232	4.8236	7e-06
6	0.63142	4.3746	3.3e-05
7	0.560088	3.8804	0.000159
8	0.485436	3.3632	0.00076
9	0.408044	2.827	0.003416
10	0.330211	2.2878	0.013299
11	0.263444	1.8252	0.037099
12	0.185222	1.2833	0.102781
13	0.130118	0.9015	0.185916
14	0.084353	0.5844	0.280839
15	0.029554	0.2048	0.419314
16	-0.024525	-0.1699	0.432896
17	-0.068039	-0.4714	0.31975
18	-0.105652	-0.732	0.233871
19	-0.151044	-1.0465	0.150295
20	-0.203503	-1.4099	0.082507
21	-0.255395	-1.7694	0.041588
22	-0.304903	-2.1124	0.019939
23	-0.354871	-2.4586	0.008803
24	-0.401697	-2.783	0.003839
25	-0.423286	-2.9326	0.002569
26	-0.439791	-3.047	0.001875
27	-0.441988	-3.0622	0.001798
28	-0.449395	-3.1135	0.001557
29	-0.445906	-3.0893	0.001666
30	-0.440991	-3.0553	0.001832
31	-0.432883	-2.9991	0.002141
32	-0.408763	-2.832	0.003371
33	-0.368451	-2.5527	0.006962
34	-0.339047	-2.349	0.011494
35	-0.307406	-2.1298	0.019173
36	-0.254383	-1.7624	0.042183

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.93885	6.5045	0
2	-0.031373	-0.2174	0.414426
3	-0.01374	-0.0952	0.462278
4	-0.008625	-0.0598	0.476298
5	-0.119502	-0.8279	0.205902
6	-0.02396	-0.166	0.434426
7	-0.098216	-0.6805	0.249742
8	-0.078541	-0.5442	0.294428
9	-0.069589	-0.4821	0.315952
10	-0.067234	-0.4658	0.32173
11	0.043666	0.3025	0.381778
12	-0.152011	-1.0532	0.14877
13	0.151521	1.0498	0.149541
14	0.034214	0.237	0.406817
15	-0.135817	-0.941	0.175716
16	-0.00157	-0.0109	0.495682
17	-0.009606	-0.0666	0.473607
18	-0.001892	-0.0131	0.494798
19	-0.127126	-0.8808	0.19142
20	-0.142195	-0.9852	0.164744
21	-0.063794	-0.442	0.330244
22	-0.103378	-0.7162	0.238662
23	-0.033205	-0.23	0.409516
24	-0.082436	-0.5711	0.285287
25	0.16792	1.1634	0.125212
26	0.058911	0.4081	0.342491
27	0.086949	0.6024	0.274871
28	-0.066616	-0.4615	0.323252
29	0.046878	0.3248	0.373379
30	0.002766	0.0192	0.492395
31	-0.101116	-0.7006	0.243482
32	0.057143	0.3959	0.346967
33	0.07318	0.507	0.307236
34	-0.129658	-0.8983	0.186756
35	0.030287	0.2098	0.417341
36	0.126587	0.877	0.192422

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229436652m4599fbytohjd6p/122pe1229436605.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229436652m4599fbytohjd6p/122pe1229436605.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229436652m4599fbytohjd6p/2ov301229436605.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229436652m4599fbytohjd6p/2ov301229436605.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

R code (references can be found in the software module):

if (par1 == 'Default') {

par1 = 10*log10(length(x))

} else {

par1 <- as.numeric(par1)

}

par2 <- as.numeric(par2)

par3 <- as.numeric(par3)

par4 <- as.numeric(par4)

par5 <- as.numeric(par5)

if (par2 == 0) {

x <- log(x)

} else {

x <- (x ^ par2 - 1) / par2

}

if (par3 > 0) x <- diff(x,lag=1,difference=par3)

if (par4 > 0) x <- diff(x,lag=par5,difference=par4)

bitmap(file='pic1.png')

racf <- acf(x,par1,main='Autocorrelation',xlab='lags',ylab='ACF')

dev.off()

bitmap(file='pic2.png')

rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF')

dev.off()

(myacf <- c(racf$acf))

(mypacf <- c(rpacf$acf))

lengthx <- length(x)

sqrtn <- sqrt(lengthx)

load(file='createtable')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','ACF(k)','click here for more information about the Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 2:(par1+1)) {

a<-table.row.start(a)

a<-table.element(a,i-1,header=TRUE)

a<-table.element(a,round(myacf[i],6))

mytstat <- myacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable.tab')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Partial Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','PACF(k)','click here for more information about the Partial Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 1:par1) {

a<-table.row.start(a)

a<-table.element(a,i,header=TRUE)

a<-table.element(a,round(mypacf[i],6))

mytstat <- mypacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable1.tab')

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

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